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Cumulative Volume Study
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Cumulative Volume Study

  #21 (permalink)
Elite Member
Tulsa, OK
 
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vegasfoster View Post
I'm making some progress with @ktrader idea, it's doing something, unfortunately just not what I want yet.

That's awesome that you're seeing progress! Looking forward to your updates

I stumbled across this thread, but have not had a chance to check it out to see if it does what I'm looking for:

WishList - Relative Volume Indicator / table - Sierra Chart

Here is the code JackW provided:

 
Code
#include "sierrachart.h"
SCDLLName("RelativeVolume") 

int RVCalc(SCDateTimeArrayRef DateTimeIn, SCBaseDataRef DataIn, c_ArrayWrapper<s_SCSubgraph_260> SgOut, int position, int lookback);

SCSFExport scsf_RelativeVolume(SCStudyGraphRef sc) 
{ 
    if (sc.SetDefaults) 
    { 
        sc.GraphName = "Relative Volume";
        sc.ValueFormat = 0;
        sc.Subgraph[0].Name = "Volume";
        sc.Subgraph[0].DrawStyle = DRAWSTYLE_BAR;
        sc.Subgraph[0].LineWidth = 2;
        sc.Subgraph[0].PrimaryColor = RGB(0,134,77);
        sc.Subgraph[0].SecondaryColor = RGB(192,0,0);
        sc.Subgraph[0].SecondaryColorUsed = 1;
        sc.Subgraph[0].AutoColoring = AUTOCOLOR_POSNEG;
        sc.Subgraph[1].Name = "Zero Line";
        sc.Subgraph[1].DrawStyle = DRAWSTYLE_LINE;
        sc.Subgraph[1].LineWidth = 1;
        sc.Subgraph[1].PrimaryColor = RGB(0,0,0);
        sc.Input[0].Name = "Lookback (>=5)";
        sc.Input[0].SetInt(5);
        sc.Input[0].SetIntLimits(5,10000);
        sc.DrawZeros = 0;
        sc.FreeDLL = 0;
        return; 
    } 

    int position, lookback = sc.Input[0].GetInt();

    if (sc.Index != 0)
    {
        position = sc.Index - 1;
       while (++position < sc.ArraySize) RVCalc(sc.BaseDateTimeIn, sc.BaseData, sc.Subgraph, position, lookback);
    }
    else
    {
        position = sc.ArraySize;
        while (--position > 0)
        {
            if (RVCalc(sc.BaseDateTimeIn, sc.BaseData, sc.Subgraph, position, lookback) == 1)
            {
                if (position == sc.ArraySize - 1) sc.AddMessageToLog("ERROR: Insufficient Bars Loaded to Run Study.",1);
                break;
            }
        }   
    }
    return;
}

int RVCalc(SCDateTimeArrayRef DateTimeIn, SCBaseDataRef DataIn, c_ArrayWrapper<s_SCSubgraph_260> SgOut, int position, int lookback)
{
    double cumvol = 0;
    int counter = 0, offset = position;
    while (--offset >= 0 && counter < lookback)
    {
        if (DateTimeIn.TimeAt(position)*1  == DateTimeIn.TimeAt(offset)*1)
        {
            counter++;
            cumvol += DataIn[SC_VOLUME][offset];
        }
    }
    if (counter == lookback)
    {
        SgOut[0][position] = (100 * DataIn[SC_VOLUME][position] / (cumvol / lookback)) - 100;
        SgOut[1][position] = 0;
        return(0);
    }
    return(1);
}
I included the code for RelativeVolume instead of RelativeVolume2 because the second version streams updates from the study to the message log. It's my understanding that was the only update.

Hope that is helpful and thanks again for looking into this stuff

Luck is what happens when preparation meets opportunity. ~ Seneca
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  #22 (permalink)
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I'm not making progress. The sc.GetNearestMatchForSCDateTime function returns zero for an exact match or 1 for the closest match, as far as I can figure it doesn't not return the correlated sc.index number, which is what I need for my remedial train of thought. I will look at the code you referenced, but he said it only works on time bars though, which I really would like this to work on any type of bars, since I don't use time bars. It may give me some more ideas and hopefully we can knock this out before New Years.......................2014.

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  #23 (permalink)
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vegasfoster View Post
I'm not making progress. The sc.GetNearestMatchForSCDateTime function returns zero for an exact match or 1 for the closest match, as far as I can figure it doesn't not return the correlated sc.index number, which is what I need for my remedial train of thought. I will look at the code you referenced, but he said it only works on time bars though, which I really would like this to work on any type of bars, since I don't use time bars. It may give me some more ideas and hopefully we can knock this out before New Years.......................2014.

I agree that there may be utility in discerning relative volume for different market quantifications (i.e. range, ticks, etc.), I'm just thinking time buckets would be the the least tricky to deal with. But I could be waaaaaaaaay off on that assumption.

I've got faith in your efforts Fwiw, I've started poking around a bit in the ACSIL stuff. My guess is that my current level redefines remedial

Luck is what happens when preparation meets opportunity. ~ Seneca
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  #24 (permalink)
Make it count
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This would be a great study to have with Variable time periods!

I'm not a programmer at all so can't contribute in the least except to sing a little cheer leading song from the sidelines!


"Let's get fired up
Get rough, get tough, get mean
Let's get fired up
and roll right over that team!"

"Train yourself to let go of everything you fear to lose."
-Yoda, Star Wars Episode III Revenge of the Sith
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  #25 (permalink)
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I'm wondering if there's a chance of porting the logic/effort from @Fat Tails:

https://futures.io/elite-circle/5242-intraday-seasonality-volatility-when-trade-when-not-trade.html

and @vvhg:

https://futures.io/download/vip_elite_circle/1314-download.html?view

To echo traveller's sentiments, programming isn't exactly my bag so I'm hoping I can at least stay in harmony with the cheer

Btw, I haven't got to read through the seasonality thread, but just skimming it looked like it is related to the general idea of relative volume and volatility.

Luck is what happens when preparation meets opportunity. ~ Seneca
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  #26 (permalink)
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Came across another seemingly related thread:

Normalized Volume Study. - Sierra Chart

Again, I have not read through it yet so I can't say if there will be transferable concepts. The thread includes CPP and DLL files.

Luck is what happens when preparation meets opportunity. ~ Seneca
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  #27 (permalink)
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I have the cumulative volume part figured out for the current day, as expected it ended up being very simple, as in 4 lines of code simple, and it will work on any bar type. I think creating the average of prior days will be easy, but I had thought this part was going to be easy as well and we know how that turned out. I also have to work on the single bar logic for time charts, but again I don't think that will be difficult now. The default will be cumulative volume from the specified time, but if set to "No" then it will only compare the current bar's volume to prior days' average of the specified period.

I'm pretty jammed up tomorrow and Friday, but should get back on it Saturday. I will also take a look at the links you provided. We are definitely on schedule for our New Years' 2019 completion date.

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  #28 (permalink)
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vegasfoster View Post
I have the cumulative volume part figured out for the current day, as expected it ended up being very simple, as in 4 lines of code simple, and it will work on any bar type. I think creating the average of prior days will be easy, but I had thought this part was going to be easy as well and we know how that turned out. I also have to work on the single bar logic for time charts, but again I don't think that will be difficult now. The default will be cumulative volume from the specified time, but if set to "No" then it will only compare the current bar's volume to prior days' average of the specified period.

I'm pretty jammed up tomorrow and Friday, but should get back on it Saturday. I will also take a look at the links you provided. We are definitely on schedule for our New Years' 2019 completion date.

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).

Excellent news and progress @vegasfoster!

That 2019 goal date is well within reach now! Looking forward to the next installment and if there is anything I can do to help, just let me know.

Luck is what happens when preparation meets opportunity. ~ Seneca
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  #29 (permalink)
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Making progress, but if a good programmer wants to knock this out then it's not too late and I won't be offended, nope.

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  #30 (permalink)
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Average Volume at Time Period historical for Sierra Charts!



vegasfoster View Post
Making progress, but if a good programmer wants to knock this out then it's not too late and I won't be offended, nope.

Hey guys, did anyone ever figure this out for Sierra? I saw it on Peter Davies chart once, and I've been looking for it which is why I stumbled on this thread.

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